Navigation in SharePoint

You cannot add headings under another heading. Headings always appea on the same level.

If you would like to have levels of navigation, for example:

Test

Test-1

Test-11

Test-12

Test-2

Test-21

Test-22

This is what you have to do.

Create a sub-site Test (from Site Actions > Create Site).
Now navigate to the sub-site Test.
Create another sub-site Test-1 (from Site Actions > Create Site).
Now navigate to the sub-site Test-1.
Create another sub-site Test-11 (from Site Actions > Create Site).
Now navigate to Test. Click Site Actions > Site Settings > Navigation and set tje options as in the below screenshot.